Stock price synchronicity and stock liquidity: International evidence
•Our study provides a comprehensive analysis of the synchronicity-liquidity relationship at both the local (within country) and global (across-country) levels.•We find a significantly-positive relationship between local synchronicity and stock liquidity.•The weaker the institutional environment, the...
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Veröffentlicht in: | Journal of empirical finance 2024-12, Vol.79, p.101541, Article 101541 |
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Format: | Artikel |
Sprache: | eng |
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Zusammenfassung: | •Our study provides a comprehensive analysis of the synchronicity-liquidity relationship at both the local (within country) and global (across-country) levels.•We find a significantly-positive relationship between local synchronicity and stock liquidity.•The weaker the institutional environment, the stronger the synchronicity-liquidity relationship.•Our global findings mirror those at the local level.
We examine the relationship between stock price synchronicity and stock liquidity using a comprehensive data set across 40 countries. Our local (within-country) empirical results reveal a positive relationship between local synchronicity and stock liquidity. The strength of this positive relationship depends on the quality of country-level institutions; the weaker the institutional environment, the stronger the synchronicity-liquidity relationship. Importantly, our global (across-country) findings mirror those at the local level. Overall, our study provides a comprehensive analysis of the synchronicity-liquidity relationship at both the local and global levels. In addition, our cross-sectional analyses provide new evidence on the institutional determinants of this relationship. |
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ISSN: | 0927-5398 |
DOI: | 10.1016/j.jempfin.2024.101541 |